IWM Options History — July 2013

In July 2013, IWM traded between $98.40 and $104.66. ATM implied volatility averaged 16.0%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.0% (HV 20d: 14.0%). Max pain ranged from $95.50 to $105.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.33.

Notable Days

2013-07-09: Highest Volume — 848,874 contracts
2013-07-05: Largest IV drop — 11.2% change
2013-07-03: Highest IV Rank — 14.6%
2013-07-03: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.45	$98.40	$104.66	$98.48	$103.87
Max Pain	$101.02	$95.50	$105.00	$95.50	$103.00
ATM IV	16.0%	14.6%	18.1%	17.3%	16.3%
Expected Move	4.6%	4.2%	5.2%	5.0%	4.7%
HV 20d	14.0%	8.4%	19.3%	19.3%	8.9%
HV 60d	16.3%	13.7%	19.4%	19.4%	13.7%
IV Rank	9.4%	5.9%	14.6%	12.6%	10.0%
IV Percentile	30.6%	11.5%	62.7%	48.0%	36.5%
Term Structure	0.7%	0.1%	1.6%	0.6%	0.5%
VWIV	17.3%	15.3%	18.9%	17.3%	17.7%
Skew 25d	4.3%	3.8%	5.7%	4.7%	4.3%
Skew 10d	8.4%	7.1%	10.4%	8.7%	9.0%
Call IV 25d	14.3%	12.8%	15.7%	15.7%	14.6%
Put IV 25d	18.6%	16.9%	21.3%	20.4%	18.9%
Bid-Ask Spread %	6.85	2.73	9.90	5.86	8.63
Gamma HHI	0.07	0.05	0.09	0.07	0.08
Net GEX	-226.8M	-609.2M	76.4M	-609.2M	-483.6M
Net DEX	-2.66B	-6.45B	1.77B	531.3M	-1.47B
Net VEX	-51.4M	-60.7M	-43.6M	-46.1M	-60.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	1.21	4.36	1.49	2.06
Total Volume	489,024.955	232,921	848,874	487,935	436,523
Total OI	5,270,149.591	4,523,144	6,065,798	4,523,144	5,778,697

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-07-01	$98.48	$95.50	17.3%	5.0%	19.3%	12.6%	17.3%	4.7%	0.6%	-609.2M	531.3M	-46.1M	1.49	5.86	196,126	291,809	1,187,426	3,335,718
2013-07-02	$98.65	$95.50	17.3%	5.0%	18.9%	12.6%	18.2%	4.6%	0.1%	-570.0M	836.1M	-46.0M	2.55	4.11	144,393	368,602	1,206,401	3,396,500
2013-07-03	$98.40	$97.00	18.1%	5.2%	18.3%	14.6%	18.9%	5.7%	0.7%	-530.5M	1.77B	-50.1M	2.03	8.82	76,875	156,046	1,251,745	3,528,553
2013-07-05	$99.79	$97.00	16.1%	4.6%	18.6%	9.5%	18.7%	4.9%	0.7%	-255.3M	-1.01B	-46.0M	1.86	6.42	144,513	268,416	1,279,744	3,587,459
2013-07-08	$100.11	$97.00	16.9%	4.8%	18.6%	11.5%	16.4%	4.9%	0.3%	-269.3M	-989.8M	-45.6M	3.37	6.59	110,511	372,896	1,239,440	3,476,589
2013-07-09	$101.02	$98.00	16.4%	4.7%	18.7%	10.4%	16.9%	4.4%	0.5%	-79.0M	-2.46B	-43.6M	4.36	7.17	158,484	690,390	1,273,291	3,554,917
2013-07-10	$101.28	$98.00	16.7%	4.8%	18.1%	11.1%	17.4%	4.1%	0.8%	-222.0M	-1.98B	-45.5M	1.76	6.86	295,300	519,889	1,322,191	3,762,516
2013-07-11	$102.12	$0.00	16.4%	4.7%	17.5%	10.2%	17.0%	4.1%	0.1%	-37.4M	-3.81B	-48.3M	2.04	7.64	201,680	411,161	1,488,118	3,928,217
2013-07-12	$102.65	$99.00	15.7%	4.5%	16.4%	8.6%	16.4%	3.8%	0.1%	-5.7M	-3.97B	-49.6M	2.07	9.90	133,382	275,806	1,558,201	4,063,352
2013-07-15	$103.63	$101.00	15.9%	4.6%	16.0%	9.2%	17.3%	3.8%	1.3%	48.0M	-5.15B	-47.3M	1.31	4.21	264,499	347,353	1,537,744	3,933,704
2013-07-16	$103.18	$102.00	16.4%	4.7%	16.0%	10.4%	17.5%	4.0%	1.2%	15.0M	-4.59B	-52.3M	2.79	2.73	140,153	391,393	1,726,712	4,030,560
2013-07-17	$103.53	$102.00	15.4%	4.4%	15.8%	7.8%	17.2%	4.0%	1.6%	40.2M	-5.08B	-52.8M	2.68	5.45	90,494	242,214	1,785,162	4,158,836
2013-07-18	$104.04	$102.00	15.6%	4.5%	14.5%	8.2%	16.7%	3.9%	0.7%	62.6M	-5.75B	-52.0M	1.84	7.24	181,503	333,406	1,786,012	4,059,795
2013-07-19	$104.39	$103.00	14.6%	4.2%	9.8%	6.0%	15.5%	4.0%	0.5%	76.4M	-6.45B	-52.2M	1.21	4.47	251,510	303,125	1,855,006	4,210,792
2013-07-22	$104.66	$105.00	14.6%	4.3%	9.8%	5.9%	15.9%	3.8%	0.8%	-77.8M	-4.24B	-51.8M	1.75	6.21	151,171	263,838	1,576,450	3,232,533
2013-07-23	$104.52	$105.00	14.9%	4.3%	8.4%	6.6%	18.7%	4.1%	0.7%	-126.8M	-3.93B	-54.3M	2.64	9.23	101,164	267,516	1,647,201	3,316,748
2013-07-24	$103.82	$105.00	15.4%	4.4%	9.2%	7.8%	18.9%	4.2%	1.1%	-325.4M	-2.22B	-56.4M	3.94	8.31	99,884	393,851	1,693,471	3,448,923
2013-07-25	$104.52	$105.00	14.9%	4.2%	9.2%	6.6%	15.3%	4.0%	0.6%	-315.3M	-3.44B	-56.1M	2.22	9.89	151,736	337,179	1,725,056	3,614,902
2013-07-26	$104.08	$105.00	15.0%	4.2%	8.5%	6.9%	17.2%	3.9%	0.6%	-480.6M	-2.64B	-57.0M	1.81	7.23	145,653	263,604	1,768,771	3,696,506
2013-07-29	$103.40	$103.50	16.1%	4.7%	9.1%	9.6%	16.9%	4.5%	0.8%	-423.4M	-851.8M	-58.1M	2.02	6.07	113,832	230,134	1,729,959	3,650,907
2013-07-30	$103.73	$103.00	16.4%	4.7%	8.9%	10.4%	18.3%	4.6%	0.2%	-421.2M	-1.53B	-58.6M	3.43	7.65	99,507	341,028	1,786,780	3,751,686
2013-07-31	$103.87	$103.00	16.3%	4.7%	8.9%	10.0%	17.7%	4.3%	0.5%	-483.6M	-1.47B	-60.7M	2.06	8.63	142,639	293,884	1,830,864	3,947,833